Statistics and Econometric Models

The second volume in a major two-volume set of advanced texts in econometrics.

List of contents

1. Introduction to tests of hypotheses; 2. Uniformly most powerful tests; 3. Unbiased tests and invariant tests; 4. Likelihood based tests; 5. General asymptotic tests; 6. Multiple tests; 7. Set estimation and confidence regions; 8. Inequality constraints: estimation and testing; 9. Nonnested tests and model selection criteria; 10. Asymptotic efficiency; 11. Asymptotic theory; Appendix A. Review of linear algebra and matrix calculus; Appendix B. Review of probability.

Summary

This is the second volume in a major two-volume set of advanced texts in econometrics. It is a work of synthesis that covers both the basic and more sophisticated models. The books are distinctive for their attention to intuitive reasoning and the presentation of many real-world economic examples.

Product details

• Authors: Christian Gourieroux, Alain Monfort
• Assisted by: Christian Gourieroux (Editor), Peter C. B. Phillips (Editor), Quang Vuong (Translation)
• Publisher: Cambridge University Press
• Languages: English
• Product format: Hardback
• Released: 08.01.2015
• EAN: 9780521471626
• ISBN: 978-0-521-47162-6
• No. of pages: 544
• Dimensions: 157 mm x 235 mm x 34 mm
• Weight: 929 g
• Series: Themes in Modern Econometrics
• Subject: Social sciences, law, business > Business > Miscellaneous